(A). The German Blaues Wunder, which means “a queer story,” as Du sollst dein blaues wunder schen, You will be filled with amazement (at the queer story I have to relate). A “blue wonder” is a cock and bull story, an improbable tale, something to make one stare. The French, contes bleus.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894